Optimal filtering in linear systems with time delays
- 1 April 1967
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 12 (2) , 169-173
- https://doi.org/10.1109/tac.1967.1098541
Abstract
The optimal linear filtering theory of Kalman and Bucy is extended to include linear systems with multiple time delays as well as the smoothing problem. The (ordinary) filter differential equation and variance equation of the Kalman-Bucy theory are replaced by partial differential equations. An explicit solution is given of the smoothing problem for systems without time delays.Keywords
This publication has 3 references indexed in Scilit:
- Solutions to the linear smoothing problemIEEE Transactions on Automatic Control, 1963
- LINEAR ESTIMATION OF SAMPLED STOCHASTIC PROCESSES WITH RANDOM PARAMETERSPublished by Defense Technical Information Center (DTIC) ,1962
- New Results in Linear Filtering and Prediction TheoryJournal of Basic Engineering, 1961